CME STP FIX - TradeCaptureReport - Instrument

55

Product Symbol

Sym

Y

String

Symbol for a CME contract, e.g. CLX05. Will not be present for IRS/FRA/SWAPTION trades.

48

Product Code

ID

Y

String

Symbol for CME product, e.g. CL.

22

Source of the Product Code

Src

Y

String

Identifies the source of the Security ID. If it is not specified, the default of Clearing is used.

H - Clearing House / Clearing Organization

461

CFI Code

CFI

N

String

Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. 

167

Security Type

SecTyp

N

String

Indicates type of instrument or security.

• CMDTYSWAP - Commodity Swap

• FRA - Forward Rate Agreement

• FUT - Future

• FWD - Forward

• FXSPOT - FX Spot

• IRS - Interest Rate Swap

• MLEG - Multi Leg (Combo)

• OPT - Option

• SWAPTION - Swaption

762

Security Sub Type

SubTyp

N

String

For spreads, indicates the strategy type.

CME STP FIX - Supported Strategy Type Codes

200

Maturity Month Year

MMY

N

MonthYear

Specifies the month and year of maturity.

• YYYYMM (i.e. 201403)

• YYYYMMDD (20140323)

• YYYYMMwN (201403w1)

541

Maturity Date

Matdt

N

LocalMktDate

Date of Maturity

224

Next Coupon Date

CpnPmt

N

LocalMktDate

This is used to indicate the next date on which Coupon Premium is due.

202

Strike Price

StrkPx

N

Price

Strike price for an option.

967

Strike Multiplier

StrkMult

N

float

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

1866

Strike Index

StrkNdx

N

String

Specifies the index used to calculate the strike price.

10046

Strike Index Location

StrkNdxLctn

N

String

Location of the strike price index.

1481

UnderlyingPriceDeterminationMethod

PxDtrmnMeth

N

int

Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").

• 1 - Regular

• 2 - Special reference

• 3 - Optimal value (Lookback)

• 4 - Average value (Asian option)

6070

Price Multiplier

Mult

N

float

Price multiplier used to convert the change in price (sell - buy) into P&L per contract.

996

Unit Of Measure

UOM

N

String

Physical unit of measure for Derivative products. Additional values may be used by mutual agreement of the counterparties.

1716

Unit of Measure Currency

UOMCcy

N

Currency

Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure = Ccy.

1147

Unit of Measure Quantity

UOMQty

N

Qty

Contract's defined quantity, used to calculate total traded notional quantity.

1191

Price Unit of Measure

PxUOM

N

String

The Unit of measure of the quoted Price. For example it is USD for a SOFR contract.

1193

Settlement Method

SettlMeth

N

char

Settlement method for a contract. Can be used as an alternative to CFI Code value

C - Cash settlement required

E - Election at exercise

P - Physical settlement required

1194

Exercise Style

ExerStyle

N

int

Type of exercise of a derivatives security

• 0 - European

• 1 - American

• 2 - Bermuda

201

Put Or Call

PutCall

N

int

Indicates whether an option contract is a put or call.

• 0 - Put

• 1 - Call

207

Product Exchange

Exch

N

Exchange

The exchange where the security is listed.

• CBT - Chicago Board of Trade

• CEE - Stock Exchange Group

• CME - Chicago Mercantile Exchange

• COMEX - Commodities Exchange, Inc

• DME - Gulf Mercantile Exchange

• FXS - FX Spot

• IFUS - Intercontinental Exchange

• NGXC - Natural Gas Exchange

• NODX - Nodal

• NYMEX - New York Mercantile Exchange

• NYMSW - CME Swaps - NYMEX

• VMAC - VMAC

• XNAS - Nasdaq

• XXXX - OTC Trades

107

SecurityDesc

Desc

N

String

Long name description of the instrument symbol (product name).

10026

Price Quote Currency

PxQteCcy

N

Currency

The currency in which the price is quoted.

454

NoSecurityAltID

N

NumInGroup

Number of alternate Security Identifiers.

→455

Alternate Identifier

AltID

N

String

The value of the alternate security identifier.

→456

Alternate Identifier Source

AltIDSrc

N

String

The source of the alternate security identifier.

• 112 - TAM Marker Price Symbol

• N - Markit RED entity CLIP

• P - Markit RED pair CLIP

864

NoEvents

N

NumInGroup

Number of reported events.

→865

Event Date Type

EventTyp

N

int

Represents the type of event associated with the contract.

• 13 - First Delivery Date

• 111 - Unadjusted Next Coupon Date

• 112 - Unadjusted Previous Coupon Date

• 113 - Unadjusted Previous Previous Coupon Date

• 121 - Fixing Date

→866

Event Date Value

Dt

N

LocalMktDate

Represents the value or date associated with the type of event.

41122

Option Exercise Frequency Period

FreqPeriod

N

int

Time unit multiplier for the frequency of exercise dates. If present OptionExerciseFrequencyUnit(tbd) must be specified.

41123

OptionExerciseFrequencyUnit

FreqUnit

N

String

Time unit associated with the frequency of exercise dates. If present OptionExerciseFrequencyPeriod(tbd) must be specified.

• D - Day

• H - Hour

• Min - Minute

• Mo - Month

• S - Second

• Wk - Week

• Yr - Year